Multivariate-Based Causality Tests of Twin Deficits in the US

By Abdulnasser Hatemi-J and Ghazi Shukur .

Abstract: This paper provides an alternative methodology for testing the causality direction between Twin deficits in the US. Rao's multivariate F-test combined with bootstraps simulation technique has appealing properties, especially when the data generating process is characterised by unit roots. In addition the results show that the effect of structural breaks are of paramount importance when the causality tests are conducted.

Key Words: Bootstrap Simulation; Multivariate tests; Twin deficits; Granger causality; Structural breaks

Authors:
Abdulnasser Hatemi-J, Abdulnasser.Hatemi-J@ihh.hj.se
Ghazi Shukur, Ghazi.Shukur@ihh.hj.se

Editor: Huang, Wei-Min , wh02@lehigh.edu

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